The Causes of Volatility in a Small Internationally Integrated Stock Market: Ireland, July 1975-June 1994

Journal of Financial Research

Posted: 9 Jan 1998

See all articles by Colm Kearney

Colm Kearney

Monash University - Monash Business School

Abstract

We examine the causes of conditional volatility in a small, internationally integrated stock market using the Irish stock market as an example. We relate Irish stock market conditional volatility to the conditional volatility of the British stock market and business cycle variables from July 1975 to May 1994. Exchange rate volatility is found to be a more significant determinant of volatility in a small internationally integrated stock market than is interest rate volatility. It follows that a potential benefit of membership of the European monetary system may be reduced stock market volatility in the smaller member countries.

JEL Classification: G12, F33

Suggested Citation

Kearney, Colm, The Causes of Volatility in a Small Internationally Integrated Stock Market: Ireland, July 1975-June 1994 . Journal of Financial Research, Available at SSRN: https://ssrn.com/abstract=45204

Colm Kearney (Contact Author)

Monash University - Monash Business School ( email )

Sir John Monash Drive
Caulfield
Melbourne, Victoria 3168
Australia
+353399031021 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
784
PlumX Metrics